How to model a complex shape like this ornate window?
There are many possible ways you could go about it, but perhaps this will give you some ideas.
Instead of thinking of the window as a solid chunk, think about the separate parts (sill, frame, bar things, glass, etc.) as, well, separate.
For example:

Model the frame:


Add the bar things as separate parts:


Add the glass:



The result here is admittedly pretty terrible, but in my defense I was hurrying so that the the gifs wouldn't be too big.. If you spend a little more time adding details to each of the components, you can get something more like this:

By adding even more detail (e.g. screws) to the places were parts are attached, you might make it even more believable.